A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League

Siem Jan Koopman and Rutger Lit
Additional contact information
Rutger Lit: VU University Amsterdam

No 12-099/III, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: This discussion paper led to a publication in Journal of the Royal Statistical Society Series A , 2015, 178(1), 167-186.

Attack and defense strengths of football teams vary over time due to changes in the teams of players or their managers. We develop a statistical model for the analysis and forecasting of football match results which are assumed to come from a bivariate Poisson distribution with intensity coefficients that change stochastically over time. This development presents a novelty in the statistical time series analysis of match results from football or other team sports. Our treatment is based on state space and importance sampling methods which are computationally efficient. The out-of-sample performance of our methodology is verified in a betting strategy that is applied to the match outcomes from the 2010/11 and 2011/12 seasons of the English Premier League. We show that our statistical modeling framework can produce a significant positive return over the bookmaker's odds.

Keywords: Betting; Importance sampling; Kalman filter smoother; Non-Gaussian multivariate time series models; Sport statistics (search for similar items in EconPapers)
JEL-codes: C32 C35 (search for similar items in EconPapers)
Date: 2012-09-27
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://papers.tinbergen.nl/12099.pdf (application/pdf)

Related works:
Journal Article: A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20120099

Access Statistics for this paper

More papers in Tinbergen Institute Discussion Papers from Tinbergen Institute Contact information at EDIRC.
Bibliographic data for series maintained by Tinbergen Office +31 (0)10-4088900 ().